Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0278
Annualized Std Dev 0.2819
Annualized Sharpe (Rf=0%) -0.0986

Row

Daily Return Statistics

Close
Observations 5570.0000
NAs 1.0000
Minimum -0.1564
Quartile 1 -0.0082
Median 0.0006
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0090
Maximum 0.1528
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0005
Variance 0.0003
Stdev 0.0178
Skewness -0.4045
Kurtosis 7.4880

Downside Risk

Close
Semi Deviation 0.0130
Gain Deviation 0.0119
Loss Deviation 0.0139
Downside Deviation (MAR=210%) 0.0176
Downside Deviation (Rf=0%) 0.0130
Downside Deviation (0%) 0.0130
Maximum Drawdown 0.7512
Historical VaR (95%) -0.0276
Historical ES (95%) -0.0435
Modified VaR (95%) -0.0285
Modified ES (95%) -0.0544
From Trough To Depth Length To Trough Recovery
2007-05-08 2020-03-16 NA -0.7512 3493 3237 NA
1999-01-07 2001-09-21 2006-05-09 -0.5841 1827 677 1150
2006-05-11 2006-06-13 2006-08-29 -0.1133 77 23 54
2007-02-20 2007-03-05 2007-04-03 -0.0797 31 10 21
2006-12-20 2006-12-22 2007-02-07 -0.0369 32 3 29

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.2 -1.2 0.5 0 0 -1.5 2.2 1.2 1.7 -0.6 1.7 0.5 4.2
2000 0.8 0.5 -0.2 0.5 1.3 2 -0.7 2.8 -0.6 0.3 -1.9 0.6 5.2
2001 0.7 0.2 1.8 0.9 -1 0.6 0 -1.3 -2 1 -0.1 0.6 1.4
2002 0.3 -0.3 1.1 1.6 -1.2 1.7 -2 -1.1 0.8 -0.6 4.8 0 5.1
2003 1.1 1.6 0.9 0 0.9 -1.6 -0.4 0 1.8 0.7 2.4 -0.4 7.2
2004 -0.9 1.5 0.9 0.7 0.3 -0.6 0.1 0.9 2 -0.2 1.8 -0.2 6.4
2005 1 -0.5 -0.8 0.5 0.4 -0.8 0.7 1.5 -0.7 -0.2 1.2 -0.9 1.5
2006 0.1 0.4 -0.7 -0.5 0.9 0.3 -0.4 0.5 -0.3 0.1 -0.5 0.2 -0.1
2007 -0.2 -1.8 0.3 0.1 -0.7 0.5 0.5 1.4 2.2 -2.8 0.1 -1.9 -2.4
2008 0.1 -2.6 2.4 0.7 1.1 -1 -0.8 -0.4 0.6 1 -9.2 0 -8.2
2009 -1.7 -0.9 1.7 2.1 2.4 1.5 0.3 -3 -2.8 -4.7 2.7 -0.9 -3.7
2010 2.4 0.5 2 -1.5 -2.6 2.9 -0.4 4.3 0.8 -1.8 4 1.2 12.2
2011 3.3 -1.8 0.7 0.5 -2.7 1.6 -3.6 -1.6 -3.9 -7 -0.5 -0.1 -14.4
2012 2.2 3.3 0.5 0.5 -1.6 8.4 0 2.8 2 1.9 -0.2 2.2 24.1
2013 0.6 -1.5 -1.4 -1.4 -2.6 1.6 2.3 -1.2 2.5 -1.4 0.7 0.4 -1.5
2014 -1.1 0.5 1.4 -0.1 0.5 1.4 -0.6 0.1 -1.3 2.3 -1 -0.8 1.3
2015 -1.7 0.5 1.3 1.5 -0.4 1.3 1.1 -2.6 -0.3 -0.1 0.2 -1.6 -0.8
2016 -0.3 3.5 -1.3 0.4 -0.6 -0.3 -2.2 0.7 1.9 -1 1.1 0.5 2.3
2017 0 1.6 0.4 0.5 1.3 0 0.4 0.5 0.8 0.5 -0.5 -0.8 4.8
2018 1.2 -0.4 0.6 -0.4 0.2 1.2 -2 -1.5 -0.6 2 -0.3 0.4 0.2
2019 -0.8 0.6 1 -0.8 -0.9 -0.7 -0.4 -0.4 -1 1.2 -0.9 0.4 -2.7
2020 -2.6 -0.5 -4.3 -2 2.6 -0.1 -2.2 -0.3 0.5 -0.2 1.8 -1.1 -8.3
2021 1.3 1.9 0 NA NA NA NA NA NA NA NA NA 3.2

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart